Fractional Integration and Structural Breaks in U.S. Macro Dynamics

Luis Gil-Alana and Antonio Moreno ()

No 02/09, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

Keywords: Fractional integration; structural breaks; multivariate analysis; inflation dynamics (search for similar items in EconPapers)
JEL-codes: C32 C51 E31 E32 E52 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2009-01-20
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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http://www.unav.edu/documents/10174/6546776/1233309644_WP_UNAV_02_09.pdf (application/pdf)

Related works:
Journal Article: Fractional integration and structural breaks in U.S. macro dynamics (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0209

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